lballabio

lballabio/QuantLib

The QuantLib C++ library

7.3K stars 2.3K forks 7.3K watchers C++ Other
quantitative-finance
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51 Open Issues Need Help Last updated: Jul 9, 2026

Open Issues Need Help

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Zero-stddev asset ITM probabilities are wrong in Black/Bachelier helpers and cap/floor deltas 7 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeSwaption: fixingDate-based constructor doesn't initialize nominal 8 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
GaussLaguerreIntegration may return NaN for large orders 11 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Inconsistent settlement-date vs. evaluation-date anchoring for discrete dividends in `BinomialConvertibleEngine` 22 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Callable bond further implementation 26 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Exploration: suggestions for AI-assisted coding about 1 month ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ConstNotionalCrossCurrencySwapRateHelper: collateral leg's payment-schedule roll convention is taken from the overnight index (hardcoded Following), not configurable about 1 month ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Feature Request: Add MakeXCcyBasisSwap (or MakeCrossCurrencySwap) helper class about 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Using IMM-rolls swaps to build curves about 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
SimpleThenCompounded convention applied incorrectly in bond price calculation 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
review reference date adjustments in rate helpers 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
SOFR observation lag 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ILS SHIR support 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`OvernightIndexedCoupon`: rate rounding hook for ISDA matrix conventions 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Problematic inheritance in DefaultLossModel 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
fixed reference date piecewise curve re-bootstraps on global evaluation date changes 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Excessive branching in trinomial trees when a time step is unusually small 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Question about IrrFinder::derivative() return value in cashflows.cpp 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Basket Loss & LHP Loss Model 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeCapFloor cannot calculate ATM with BachelierCapFloorEngine 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
comp spot val calc in overnight index future missing comp from eval to ref date 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
zero spreaded rate curves / bond z-spread analytics ignore day counter 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Pricing Bonds with face values other than $100 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MtMCrossCurrencyBasisSwapRateHelper Payment Frequency 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
CMake build does not generate `QL_PACKAGE_NAME` 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Issue with first period cashflow in FixedRateBond 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MCDiscreteArithmeticASEngine is insensitive to exercise date 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Option pricing BARONE-ADESI/WHALEY and negative rate 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Updates are not propagated from a PiecewiseYieldCurve after a failed bootstrap 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
"Fast Valuation of Seasoned OIS Swaps" 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
the BS model should return premium and greeks when expiry is zero 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ql.MakeSwaption holiday calendar 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeVanillaSwap may infer the wrong fixed leg tenor for swaps with explicit termination dates 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeVanillaSwap / MakeOIS withSettlementDays clears an explicit effective date 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Potential flaw in Actual/Actual Day Count Convetion when compared to ISDA docs, LSEG and Bloomberg 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
backward start swap helper needed 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
OISRateHelper should take a QuoteHandle for overnightSpread parameter 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
inflationYearFraction in ZeroCouponInflationSwap 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
avoid underflow in SmileSectionUtils 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Volatility surface with different strike levels for different tenors 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
FloatingRateCoupon fixingDate() Following 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Jump in OAS on callable bond with ex coupon date 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Add ql.ZabrSwaptionVolatilityCube() 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Request: Natural cubic spline fitter for FittedBondDiscountCurve 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Potential day count bug in ZeroSpreadedTermStructure / zSpread 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
GSR Process Kernel Crash in Python 9 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Support custom pillar date in interest-rate futures helpers 9 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Feature request: FX Forwards 9 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Add CrossCurrencySwapRateHelper 10 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
OvernightIndexedCoupon: amount() and rate() return inf/nan if paymentDate < accrualEndDate 10 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Segfault for `AmortizingFloatingRateBond` constructor. about 1 year ago

AI Summary: A user reported a segmentation fault when attempting to construct an `AmortizingFloatingRateBond` in QuantLib Python using seemingly invalid or default arguments, specifically an empty `ql.Schedule()`. Although the user acknowledges these inputs are not intended for a valid bond, a segfault indicates a critical unhandled error in the underlying C++ code. The issue suggests the need for robust input validation to prevent crashes and instead raise a proper exception for invalid constructor arguments.

Complexity: 3/5
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance